In reply to Lozj91:
If you turn the dial back and forth does it click as it passes the ambient temperature?
If it did and now doesn't then my guess is that the bi-metalic disc has failed and as a result it's constantly trying to send info to the receiver on the boiler and that's why it's eating batteries.
This really is academic as it's obviously broken and you can't keep feeding it batteries; you'll end up spendig more on batteries than on gas to heat the house.
If you are otherwise happy with the thermostat and it's lasted a reasonable time your cheapest option would be to buy another of the identical items (£38 on E-bay) and just set the jumpers on the back to the same as your current setup so you don't need to change anything at the boiler end.